FORM Options History — December 2009

In December 2009, FORM traded between $17.29 and $22.57. ATM implied volatility averaged 36.5%, placing in the 20.8% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 3.2% (HV 20d: 33.3%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.29.

Notable Days

  • 2009-12-10: Highest Volume — 1,227 contracts
  • 2009-12-07: Largest IV drop — 17.3% change
  • 2009-12-14: Highest IV Rank — 34.9%
  • 2009-12-14: Largest Expected Move — 12.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.51$17.29$22.57$17.29$21.77
Max Pain$19.66$17.50$20.00$17.50$20.00
ATM IV36.5%29.8%43.3%39.0%33.0%
Expected Move10.6%8.5%12.4%11.2%9.4%
HV 20d33.3%28.7%36.6%32.9%31.3%
HV 60d34.6%31.5%36.6%34.1%34.3%
IV Rank20.8%8.0%34.9%23.6%14.3%
IV Percentile6.7%0.4%27.8%4.8%3.6%
Term Structure7.4%0.4%13.2%1.8%10.7%
VWIV36.1%25.2%42.6%38.3%32.6%
Skew 25d5.5%-7.1%15.5%0.2%-7.1%
Skew 10d12.6%-2.8%25.4%2.0%-2.8%
Call IV 25d31.7%21.2%39.5%32.8%30.6%
Put IV 25d37.2%23.5%44.8%33.0%23.5%
Bid-Ask Spread %13.015.8322.7412.815.83
Gamma HHI0.310.290.350.340.29
Net GEX584.5K324.8K707.4K324.8K690.9K
Net DEX-19.6M-28.7M-5.4M-5.4M-24.4M
Net VEX-84.0K-93.6K-69.0K-69.0K-78.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.290.010.960.010.06
Total Volume311.1821251,227169339
Total OI28,480.13627,30629,39529,05427,306

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-12-01$17.29$17.5039.0%11.2%32.9%23.6%38.3%0.2%1.8%324.8K-5.4M-69.0K0.0112.81N/AN/A168124,2684,786
2009-12-02$17.60$17.5039.4%11.3%32.9%25.0%39.3%5.1%0.4%350.6K-6.7M-71.2K0.1015.30N/AN/A1351424,2404,691
2009-12-03$18.20$17.5038.9%11.2%34.1%24.1%39.1%15.5%0.5%406.8K-9.3M-76.8K0.1022.74N/AN/A5335224,1594,684
2009-12-04$18.67$20.0040.7%11.4%34.2%27.4%38.6%2.4%6.5%451.2K-11.2M-80.6K0.1316.88N/AN/A2643424,3774,633
2009-12-07$19.05$20.0033.6%11.0%34.1%14.4%39.4%2.5%7.4%480.3K-13.1M-84.1K0.3613.48N/AN/A973524,4954,638
2009-12-08$19.02$20.0037.7%11.2%34.1%21.8%40.1%9.1%6.2%491.3K-13.2M-83.8K0.9622.49N/AN/A848124,5374,627
2009-12-09$19.40$20.0035.6%10.9%33.7%19.3%39.7%12.8%7.6%518.8K-14.4M-84.1K0.5118.20N/AN/A29815124,5474,666
2009-12-10$20.53$20.0039.6%11.3%36.6%27.5%39.6%2.5%7.0%602.8K-20.4M-93.6K0.2810.42N/AN/A95527224,7264,669
2009-12-11$20.35$20.0039.5%11.3%35.8%27.5%39.5%3.5%6.3%607.5K-19.5M-90.5K0.649.35N/AN/A26216824,6414,552
2009-12-14$20.92$20.0043.3%12.4%36.5%34.9%42.6%6.7%4.9%631.8K-22.0M-90.8K0.8212.22N/AN/A887224,5604,551
2009-12-15$20.77$20.0040.4%11.6%34.3%29.2%39.1%6.5%6.0%625.5K-21.5M-89.8K0.6612.39N/AN/A966324,5524,562
2009-12-16$20.96$20.0038.8%11.1%34.1%26.1%36.7%5.3%7.9%610.7K-22.2M-89.3K0.069.03N/AN/A1991124,5114,580
2009-12-17$20.57$20.0040.7%11.7%33.5%29.8%37.0%6.3%4.9%614.3K-20.2M-88.1K0.1912.66N/AN/A1052024,3834,583
2009-12-18$20.98$20.0038.2%11.0%33.0%24.8%36.8%4.6%6.9%616.7K-21.9M-87.1K0.2213.58N/AN/A1312924,3744,592
2009-12-21$21.68$20.0032.6%9.3%33.4%13.5%33.4%9.7%9.5%663.4K-24.0M-85.9K0.3310.07N/AN/A42514123,4604,054
2009-12-22$21.89$20.0032.5%9.3%33.4%13.3%32.3%5.1%9.5%689.6K-25.1M-86.4K0.1915.52N/AN/A2685223,4164,113
2009-12-23$22.43$20.0030.9%8.8%33.1%10.1%34.1%9.3%11.8%691.9K-28.0M-87.0K0.1212.11N/AN/A3354023,3954,126
2009-12-24$22.57$20.0029.8%8.5%32.5%8.0%29.8%4.3%13.2%692.1K-28.7M-85.3K0.047.34N/AN/A234923,2854,146
2009-12-28$22.31$20.0034.1%9.8%28.7%16.6%30.2%11.3%10.0%692.3K-27.0M-82.2K0.4213.94N/AN/A1867823,1954,153
2009-12-29$22.18$20.0032.8%9.4%29.5%14.0%25.2%-1.5%11.5%697.6K-26.4M-81.3K0.257.50N/AN/A1253123,1834,147
2009-12-30$22.03$20.0031.7%9.1%30.2%11.7%31.7%7.5%12.3%707.4K-25.6M-81.9K0.0112.35N/AN/A164123,2444,156
2009-12-31$21.77$20.0033.0%9.4%31.3%14.3%32.6%-7.1%10.7%690.9K-24.4M-78.9K0.065.83N/AN/A3201923,1494,157